christmas shoes is a sad one for me, and when my parents divorced it was already there, but my worst one is Tears in Heaven by eric clampton, i was too young to remember, but my brother died because of his dads negligence of his diabetes, this song came out right after he died and when i got older my mom told me the story of what happened, so now every time i hear this song or even think about the song i end up crying, he was 13 when he died, and it turns out the artist wrote this for his 4 yr old son who fell over a railing to his death, and my immortal makes me think of him too, another sad song is The Art of Suicide by Emilie Autumn

And my most loved (sad) song from my childhood: 'Mamatschi, schenk mir ein pferdchen'It is a old traditional song about a young boy who desperately wished for a horse but always gets just toy horses and horses made from sweets. He allways says 'Mamatschi (Mama) gift me a horse, a horse would be my paradise. But such horses I didn't want.'. Later when he is an adult a mourning carriage (the carriage that used to take away the dead from your home and brought them to a cemetry) is in front of his house to take away his mother and remembers his wish. He parts from his mother saying 'Mamatschi (Mama) gift me a horse, a horse would be my paradise. But mourning horses I didn't want.'.Only version I found: Link